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Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks

Wilson, Christine; Featherstone, Allen - Department of Agricultural Economics, Purdue University - 2006

The dynamics in stock returns and the market return for 21 food and agribusiness firms are estimated in a threshold switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and tested. Results indicate risk parameters differ for...

Persistent link: https://www.econbiz.de/10005771575

A survey on risk-return analysis

Galagedera, Don U.A. - EconWPA - 2004

This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.

Persistent link: https://www.econbiz.de/10005561561

CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA

Rubio, Fernando - EconWPA - 2004

diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el … en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been … verify possible differences in the obtained betas with a view toward the utilization of the CAPM. In conclusion, it seems …

Persistent link: https://www.econbiz.de/10005561663

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

Persistent link: https://www.econbiz.de/10005561735

The explaining role of the Earning-Price Ratio in the Spanish Stock Market

DePeña, Javier; Gil-Alana, Luis A. - School of Economics and Business Administration, … - 2003

In this paper we study the suitability of the CAPM to the Spanish Stock Market Interconnection System (SIBE) for the …

Persistent link: https://www.econbiz.de/10005568766

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005729824

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda. - Département de Sciences Économiques, Université de … - 2002

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including …

Persistent link: https://www.econbiz.de/10005729905

On the Endogeneity of the Mean-Variance Efficient Frontier

Somerville, R. A.; Paul G. J. Oâ€™Connell - In: Journal of Economic Education 33 (2002) 4, pp. 357-366

The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...

Persistent link: https://www.econbiz.de/10005600630

CAPM Reconsidered: A Robust Finite Sample Evaluation

Ravikumar, B.; Ray, Surajit; Savin, N.E. - Department of Economics, Tippie College of Business - 1999

In this paper, the conventional test of the Sharpe-Lintner version of the Capital Asset Pricing Model (CAPM) are … reconsidered. The CAPM is formulated as a Seemingly Unrelated Regression (SUR) system with an adding-up restriction. A statistical … and that is robust to heteroskedasticity and/or autocorrelation of unknown form is used to test the CAPM. The robust Wald …

Persistent link: https://www.econbiz.de/10005755355

Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts

FEARNLEY, Tom A. - Swiss Finance Institute - 2002

varying. The price of market risk is statistically significant, and the international CAPM risk premia are validated, although …, implying an overall rejection of the international CAPM, and suggesting that additional, unidentified pricing factors …

Persistent link: https://www.econbiz.de/10005612059